You can download various software for free / share / trial that will convert .wma to .mp3.
However, this inevitably leads to some loss of quality to some degree (depending on which program you use).
There are reasons that, by default, Microsoft only allow conversion to .wma - 1. that naturally, they want to promote their own format (.wma) and, 2. it would cost money to include the facility to convert to mp3, since they would be using licensed technology that is not their own.
Putting aside the Microsoft "issue" (in that there are many who have a downer on them) - I personally like Windows Media Player very much - and I have tried quite a few others before re-discovering it, and found it suited my needs.
I did, however, download a (MS compatible) 'patch' that allows me to rip a CD as an mp3 rather than .wma
I don't know about the latest versions of WMP, but I would expect that soon it will rip to mp3 as standard, as mp3 becomes the dominant format. (note that popuar does not necessarily mean better - qv. Betamax v. VHS)
Anyway, the 'patch' cost a few dollars (ie a few quid - yes, I'm in the UK) - but was well worth it, since, despite already owning legitimate software that could rip to mp3, I could now do it in WMP that I preferred.